Daily NYSE Composite Index
A daily time series from 1990 to 2005 of the New York Stock Exchange composite index.
data("NYSESW")A daily univariate time series from 1990-01-02 to 2005-11-11 (of class
"zoo" with "Date" index).
Online complements to Stock and Watson (2007).
Stock, J.H. and Watson, M.W. (2007). Introduction to Econometrics, 2nd ed. Boston: Addison Wesley.
## returns
data("NYSESW")
ret <- 100 * diff(log(NYSESW))
plot(ret)
## Stock and Watson (2007), p. 667, GARCH(1,1) model
library("tseries")
fm <- garch(coredata(ret))
summary(fm)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.